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Global Financial Markets Intelligence

Global Financial Markets Intelligence

The Fundamental Review of the Trading Book: Minimum capital requirements for market risk

Understanding and implementing the new capital requirement

11-12 Sep 2017
New York, NY, United States of America

Why You Should Attend

The Fundamental Review of the Trading Book: Minimum capital requirements for market risk

To ensure we meet your expectations and maximise your return on training investment, we favour a classroom/workshop style set up for the delivery of our courses. Please note we have therefore limited number of spaces available and these will be assigned on a first come, first accepted basis. We recommend early booking to avoid disappointment.

How will you benefit?

  • You will be shown how Expected Shortfall overcomes many of the issues of the VaR based approach
  • A run through of a liquidity crisis will demonstrate how the new liquidity charges would work in a liquidity crisis
  • What new roles and responsibilities are expected of trading desks?
  • How diversification benefit is taken or not into account when calculating capital
  • Why some products and markets will require more capital than other

About your expert trainer:

Ben Watson is the CEO of Maroon Analytics Australia, a Quantitative Analytics Consultancy that helps Banks and Financial institutions with any aspect of their quant requirements. Maroon has been helping it clients with some of the more complex issues that they face today, such OIS discounting, FVA, CVA/DVA and quantitative impacts of regulatory.

Ben came to the Maroon business with 20+ working for Investment Banks as a Quantitative Analyst. Up to 2012 he was the APAC regional head of the Quant function for RBS and before that the local head of Quant at ABN AMRO Australia. He has a long track record of building real time pricing and risk management systems for traders and risk management teams. In 2012 he managed the successful OIS migration of a large derivatives trading book for a global bank.

Since starting his own consultancy he has developed a number of industry training courses that have been run in Australia, New Zealand, Singapore and Taiwan. His courses include OIS Discounting, Counterparty Credit and CVA, Funding, Liquidity and FVA, Interest Rate Options and Stress Testing, Initial Margin and MVA, The Fundamental Review of the Trading Book and VaR.

Pre-course questionnaire:

A detailed questionnaire will be sent to all course participants to establish exactly where the group training needs lie. The completed forms will be analysed by the course leader/trainer and followed by telephone if further clarification is required. As a result we can guarantee that the course is pitched at exactly the right level and that the issues that you regard as relevant are addressed. The course material will reflect these issues and will enable you to digest the subject matter after the event in your own time.

Who should attend?

Market and Credit Risk Practitioners who have some interaction with the trading books.

IT Managers and Developers who are working on FRTB related projects.

Quantitative Analysts who need to understand how the FRTB will impact pricing and risk measurements.

Regulatory Risk, Risk Governance and Compliance personnel who will oversee the implementation and operational aspects of the FRTB.

Trading Management who need to understand the capital implications of the FRTB.

Why Choose GFMI marcus evans?

marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.

Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.

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Event Contact

For all enquiries regarding speaking, sponsoring and attending this conference contact:

Gareth Banks

101 Finsbury Pavement
London EC2A 1RS

+44 (0) 20 3002 3400
Fax: +44 (0) 20 3002 3016
Email: garethb@marcusevansuk.com